Inflation Option
Inflation Option is a direct subtype of Option
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TYPE INCLUSION RELATIONSHIPS
AVAILABLE FUNCTIONS
AVAILABLE CREATE FUNCTION KEYS
TYPICAL OBJECTS OF TYPE Inflation Option
This type represents a zero striked european option Option where the underlying contract is a zero coupon Inflation Swap that matures at the same date as the option's excpiry.
Stated differently, the holder of a call Inflation Option on a receiver underlying inflation swap has the right to enter with a long position into that swap at the swap's maturity date.
In effect, the holder then has the right to choose at option's expiry (which is the same as the maturity of the underlying zero coupon inflation swap) whether or not to receive the swap's net terminal amount, as defined in Zero Inflation Swap.
The option's position is overall long on inflation if it is a call option on a receiver underlying swap or a put option on a payer swap.
The pricing methodology is specified in Model[Inflation Option]